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Causality and dynamic spillovers among cryptocurrencies and currency markets

Elsayed, Ahmed H.; Gozgor, Giray; Lau, Chi Keung - In: International journal of finance & economics : IJFE 27 (2022) 2, pp. 2026-2040

Persistent link: https://www.econbiz.de/10013184641

GARCH modelling of cryptocurrencies

Chu, Jeffrey; Chan, Stephen; Nadarajah, Saralees; … - In: Journal of risk and financial management : JRFM 10 (2017) 4, pp. 1-15

With the exception of Bitcoin, there appears to be little or no literature on GARCH modelling of cryptocurrencies. This … paper provides the first GARCH modelling of the seven most popular cryptocurrencies. Twelve GARCH models are fitted to each …

Persistent link: https://www.econbiz.de/10011854856

Is intraday data useful for forecasting VaR? : the evidence from EUR/PLN exchange rate

Będowska-Sójka, Barbara - In: Risk management : a journal of risk, crisis and disaster 20 (2018) 4, pp. 326-346

Persistent link: https://www.econbiz.de/10011962183

Transmission of volatility shocks between the equity and foreign exchange markets in South Africa

Bonga-Bonga, Lumengo - In: The journal of applied business research 29 (2013) 5, pp. 1529-1539

Persistent link: https://www.econbiz.de/10010198088

Safe-haven or speculation? : Research on price and risk dynamics of Bitcoin

Liu, Xin; Li, Bowen - In: Applied economics letters 31 (2024) 4, pp. 281-287

Persistent link: https://www.econbiz.de/10014468773

The influence of structural changes in volatility on shock transmission and volatility spillover among Iranian gold and foreign exchange markets

Shahrazi, Mohammad Mahdi; Elmi, Zahra Mila; Abounoori, … - In: Iranian economic review : journal of University of Tehran 18 (2014) 2, pp. 73-86

Persistent link: https://www.econbiz.de/10011455410

Estimating and forecasting portfolio's Value-at-Risk with wavelet-based extreme value theory : evidence from crude oil prices and US exchange rates

Jammazi, Rania; Nguyen, Duc Khuong - In: Journal of the Operational Research Society : OR 68 (2017) 11, pp. 1352-1362

Persistent link: https://www.econbiz.de/10011815894

Backtesting the evaluation of Value-at-Risk methods for exchange rates

Mrkvička, Tomáš; Krásnická, Martina; Friebel, Ludvík - In: Studies in economics and finance 40 (2023) 1, pp. 175-191

Persistent link: https://www.econbiz.de/10013503890

Value-at-risk estimation with the Carr-Geman-Madan-Yor process : an empirical study on foreign exchange rates

Choi, Sun-Yong - In: The journal of risk model validation 10 (2016) 2, pp. 1-34

Persistent link: https://www.econbiz.de/10011527478

Forecasting VaR using analytic higher moments for GARCH processes

Alexander, Carol; Lazar, Emese; Stanescu, Silvia - In: International review of financial analysis 30 (2013), pp. 36-45

Persistent link: https://www.econbiz.de/10010460001

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